Jiang, Xiaoquan; Lee, Bong-Soo - In: Financial Management 35 (2006) 2, pp. 43-65
We claim that regressing excess returns on one-lagged volatility provides only a limited picture of the dynamic effect of idiosyncratic risk, which tends to be persistent over time. By correcting for the serial correlation in idiosyncratic volatility, we find that idiosyncratic volatility has a...
